Publications of Finance Group


For corrections and additions please contact be-finance-secr@remove-this.ese.eur.nl

Representative Publications

  • Adams, B.R., Akyol, A.C., Verwijmeren, P. (2017), Director skill sets, Journal of Financial Economics, forthcoming.
  • Andonov, A., Bauer, R., Cremers, M. (2017), Pension Fund Asset Allocation and Liability Discount Rates, Review of Financial Studies, 30(8), 2555–2595.
  • Bekkum, van, S., Baltussen, G., Da, Z. (2017). Indexing and Stock Market Serial Dependence Around the World. Journal of Financial Economics, forthcoming.
  • Bekkum, van, S., Gabarro, M., Irani, R.M. (2017). Does a Larger Menu Increase Appetite? Collateral Eligibility and Bank Risk-Taking. Review of Financial Studies, forthcoming.
  • Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., Sauri, O. (2017). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity, Jounal of Econometrics 196(2), 347-36.
  • Busch, P. and S. Obernberger (2017). Actual share repurchases, price efficiency, and the information content of stock prices, Review of Financial Studies, 30 (1), 324-362.
  • Decamps, J.-P., Gryglewicz, S., Morellec, E., Villeneuve, S. (2017), Corporate Policies with Permanent and Transitory Shocks, Review of Financial Studies, 30 (1), 162-210.
  • Korteweg, A., Kraussl, R., Verwijmeren P. (2016). Does it pay to invest in art? A selection-corrected returns perspective, Review of Financial Studies 29, 1007-1038.
  • Hillert, A., Maug, E., Obernberger, S. (2016). Stock repurchases and liquidity, Journal of Financial Economics 119, 186-209.
  • Grundy, B.D. and P. Verwijmeren (2016). Disappearing call delay and dividend-protected convertible bonds, Journal of Finance 71, 195-223.
  • Grundy, B.D. and P. Verwijmeren (2017). The buyers’ perspective on security design: Hedge funds and convertible bond call provisions, Journal of Financial Economics, forthcoming.
  • Mao, Q. and J. Wei (2016). Cash Flow News and the Investment Effect in the Cross-Section of Stock Returns, Management Science 62(9), 2504-2519.

Articles

2017

  • Adams, B.R., Akyol, A.C., Verwijmeren, P. (2017), Director skill sets, Journal of Financial Economics, forthcoming.
  • Andonov, A., Bauer, R., Cremers, M. (2017), Pension Fund Asset Allocation and Liability Discount Rates, Review of Financial Studies, 30(8), 2555–2595.
  • Akyol, A.C., Raff, K., Verwijmeren, P. (2017). The elimination of broker voting in director elections, Finance Research Letters, (21), 34-39
  • Bekkum, van, S., Baltussen, G., Da, Z. (2017). Indexing and Stock Market Serial Dependence Around the World. Journal of Financial Economics, forthcoming.
  • Bekkum, van, S., Gabarro, M., Irani, R.M. (2017). Does a Larger Menu Increase Appetite? Collateral Eligibility and Bank Risk-Taking. Review of Financial Studies, forthcoming.
  • Berkman, H., McKenzie, M.D., Verwijmeren, P. (2017). Hole in the wall: Informed short selling ahead of private placements, Review of Finance21, 1047-1091
  • Bockweg, C., Ponds, E., Steenbeek, O.W. Vonken, J. (2017). Framing and the Annuitization Decision: Experimental Evidence from a Dutch Pension Fund, Journal of Pension Economics & Finance, forthcoming.
  • Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., Sauri, O. (2017). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity, Jounal of Econometrics 196(2), 347-36.
  • Busch, P. and S. Obernberger (2017). Actual share repurchases, price efficiency, and the information content of stock prices, Review of Financial Studies, 30 (1), 324-362.
  • Decamps, J.-P., Gryglewicz, S., Morellec, E., Villeneuve, S. (2017), Corporate Policies with Permanent and Transitory Shocks, Review of Financial Studies, 30 (1), 162-210.
  • Dittmann, I., Yu, K., Zhang, D. (2017), How Important Are Risk-Taking Incentives in Executive Compensation?, Review of Finance, 21 (5), 1805-1846.
  • Grundy, B.D. and P. Verwijmeren (2017). The buyers’ perspective on security design: Hedge funds and convertible bond call provisions, Journal of Financial Economics, forthcoming.
  • van der Lecq, F., Rivera-Rozo, J., Steenbeek, O.W. (2017). National culture and the configuration of public pensions, Journal of Comparative Economics, forthcoming.
  • Piljak, V., Swinkels, L.A.P. (2017). Frontier and Emerging Government Bond Markets. Emerging Markets Review 30, 232-255.
  • Piljak, V., Swinkels, L.A.P. (2017). Fundamental indexation for developed, emerging, and frontier government bond markets. Journal of Asset Management 18 (5), 405-420.
  • Siganos, A., Vagenas-Nanos, E., Verwijmeren, P. (2017). Divergence of sentiment and stock market trading, Journal of Banking and Finance, 78, 130-141.
  • Smit H.T.J. and L. Trigeorgis (2017). Strategic NPV: Real options and strategic games under different information structures, Strategic Management Journal, forthcoming.
  • Van Marle M., Verwijmeren, P. (2017). The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods, Journal of Empirical Finance, forthcoming.
  • Verwijmeren, P. and D. Veenman (2017). Do investors fully unravel persistent pessimism in analysts' earnings forecasts? The Accounting Review, forthcoming.

2016

  • Bekkum, van, S. (2016). Ireland's 2010 EU/IMF Intervention: Costs and Benefits. Journal of Banking and Finance, 72, 175-183.
  • Bekkum, van, S., Baltussen, G., Grient, B. van der (2016). Unknown Unknowns: Uncertainty About Risk and Stock Returns. Journal of Financial and Quantitative Analysis, forthcoming.
  • Berkman, H., McKenzie, M.D., Verwijmeren, P. (2016). Hole in the wall: Informed short selling ahead of private placements, Review of Finance, forthcoming.
  • Bohnet,I. Van Geen, A., Bazerman, M. (2016). When Performance Trumps Gender Bias: Joint Versus Separate Evaluation. Management Science 62, 1225-1234.
  • Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., Sauri, O. (2016). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity, Jounal of Econometrics, forthcoming.
  • Cox, R.H.G.M. and R.C.J. Zwinkels (2016). Mortgage Insurance Adoption in the Netherlands. Real Estate Economics, forthcoming.
  • Duyvesteyn, J.G., Martens, M., Verwijmeren, P. (2016). Political risk and expected government bond returns, Journal of Empirical Finance, 38(A), 498-512.
  • Dutordoir, M., Li, H., Liu, F.H., Verwijmeren, P. (2016). Convertible bond announcement effects: Why is Japan different? Journal of Corporate Finance 37, 76-92.
  • Hillert, A., Maug, E., Obernberger, S. (2016). Stock repurchases and liquidity, Journal of Financial Economics 119, 186-209.
  • Gong, X., Lin, C., Zwinkels, R.C.J. (2016). Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns, Journal of Financial Econometrics, forthcoming.
  • Grundy, B.D. and P. Verwijmeren (2016), Disappearing call delay and dividend-protected convertible bonds, Journal of Finance 71, 195-223.
  • Korteweg, A., Kraussl, R., Verwijmeren P. (2016). Does it pay to invest in art? A selection-corrected returns perspective, Review of Financial Studies 29, 1007-1038.
  • Mao, Q. and J. Wei (2016). Cash Flow News and the Investment Effect in the Cross-Section of Stock Returns, Management Science 62(9), 2504-2519
  • Pieterse-Bloem, M., Qian, Z., Zwinkels, R.C.J., Verschoor, W.F.C. (2016). Time-varying importance of country and industry factors in European corporate bonds. Journal of Empirical Finance, forthcoming.

2015

  • Andonov, A., Eichholtz, P., Kok, N. (2015). Intermediated Investment Management in Private Markets: Evidence From Pension Fund Investments in Real Estate, Journal of Financial Markets 22, 73-103.
  • Bekkum, S. van (2015). Inside Debt and Bank Risk. Journal of Financial and Quantitative Analysis 51, 359-385.
  • Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., Sauri, O. (2016). Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity, Jounal of Econometrics, forthcoming.
  • Cox, R.H.G.M., Brounen, D. & Neuteboom, P. (2015). Financial Literacy, Risk Aversion and Choice of Mortgage-type by Households. The Journal of Real Estate Finance and Economics, 50 (1), 74-112.
  • Doskov, N., Swinkels, L.A.P. (2015). Empirical evidence on the currency carry trade, 1900-2012. Journal of International Money and Finance 51, 370-389. Duyvesteyn, J. and M. Martens, (2015), Forecasting sovereign default risk with Merton’s model, Journal of Fixed Income, 25(2), 58-71.
  • Duyvesteyn, J. and G. de Zwart, (2015), Riding the swaption curve, Journal of Banking and Finance, 59, 57-75.
  • Egbers, T., Swinkels, L.A.P. (2015). Can implied volatility predict returns on the currency carry trade? Journal of Banking and Finance 59, 14-26.

2014

  • Alfaro, L, Kalemli-Ozcan, S., Sorensen, B., Volosovych, V. (2014). Sovereigns, Upstream Capital Flows and Global Imbalances, Journal of European Economic Association 12, 1240-1284.
  • Dittmann, I., Kübler, D., Maug, E., Mechtenberg, L. (2014): Why votes have a value?, Games and Economic Behavior 84, 17-38.
  • Doeswijk, R.Q., Lam, T., Swinkels, L. (2014). The Global Multi-Asset Market Portfolio 1959-2012: Author Response, Financial Analysts Journal 70, 9-11.
  • Doeswijk, R.Q., Lam, T., Swinkels, L. (2014). Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2012, Financial Analysts Journal 70, 26-41.
  • Grundy, B., Veld, C., Verwijmeren, P., Zabolotnyuk, Y. (2014). Why are conversion-forcing call announcements associated with negative wealth effects? Journal of Corporate Finance 24, 149-157
  • Kalemli-Ozcan, S., Sorensen, B., Volosovych, V. (2014). Deep Financial Integration and Volatility, Journal of European Economic Association, 12, 1558-1585.
  • Lemmon, M., Liu, L.X., Mao, M.Q., Nini, G. (2014). Securitization and capital structure in nonfinancial firms: An empirical investigation, Journal of Finance 69, 1787–1825,
  • Lewis, C. and P. Verwijmeren (2014). Cash-settled convertible bonds and the value relevance of their accounting treatment. Journal of Corporate Finance 24, 101-111.
  • Lin, C., Massa, M., Zhang, H. (2014). Mutual Funds and Information Diffusion: The Role of Country-Level Governance. The Review of Financial Studies 27, 3343-3387.
  • Siganos, A., Vagenas-Nanos, E., Verwijmeren, P. (2014). Facebook’s daily sentiment and international stock markets. Journal of Economic Behavior and Organization 107, 730-743

2013

  • Akyol, A.C. and P. Verwijmeren (2013). Human capital costs, firm leverage, and unemployment rates, Journal of Financial Intermediation 22, 464-481.
  • Andreu, L., Swinkels, L., and Tjong-A-Tjoe, L. (2013). Can exchange traded funds be used to exploit country and industry momentum?, Financial Markets and Portfolio Management 27(3), 127-148.
  • Dai, Gryglewicz, Smit, and De Maeseneire (2013). Similar Bidders in Takeover Contests, Games and Economic Behavior 82: 544-561.
  • De Grauwe P. and A. Markiewicz (2013). Learning to Forecast the Exchange Rate: Two Competing Approaches, Journal of International Money and Finance 32.
  • Dittmann, I., E. Maug, and O. Spalt (2013): Indexing executive compensation contracts, Review of Financial Studies 26, 3182-3224.
  • Goldbaum and Zwinkels (2013). An Empirical Investigation of Heterogeneity and Switching in the Foreign Exchange Market, Journal of Economic Behavior and Organization, forthcoming.
  • Frijns, Gilbet, and Zwinkels (2013). Market Timing Ability and Mutual Funds: A Heterogeneous Agent Approach, Quantitative Finance, forthcoming.
  • Ter Ellen, Verschoor, and Zwinkels (2013). Dynamic Expectation Formation in the Foreign Exchange Market, Journal of International Money and Finance 37: 75-97.
  • Lewis, C.M. and P. Verwijmeren (2013), Closing loopholes in the accounting of convertible debt and the impact of call features, Journal of Corporate Finance, forthcoming
  • Spronk, Verschoor, and Zwinkels (2013). Carry Trade and Foreign Exchange Rate Puzzles, European Economic Review 60: 17 - 31.
  • Verschoor W., and R. Zwinkels (2013). Do Foreign Exchange Fund Managers Behave Like Heterogeneous Agents?, Quantitative Finance 13, 1125-1134.
  • Volosovych, V. (2013), Learning About Financial Market Integration from Principal Components Analysis, CESifo Economic Studies 59, 360-391.
  • Volosovych, V. (2013), Risk Sharing from International Factor Income: Explaining Cross-Country Differences, Applied Economics 45, 1435-1459.

2012

  • Baltussen, G., Post, G.T., Assem, M.J. van den & Wakker, P.P. (2012). Random Incentive Systems in a Dynamic Choice Experiment. Experimental Economics 15, 418-443.
  • Assem, M.J. van den & Dolder, D. van (2012). Coöperatie in spelshows. In V.I. Buskens & W.A.F. Maas (Eds.), Samenwerking in sociale dilemma's; Voorbeelden van Nederlands onderzoek (pp. 209-234). Amsterdam: Amsterdam University Press
  • Assem, M.J. van den, Dolder, D. van & Thaler, R.H. (2012). Split or Steal? Cooperative Behavior When the Stakes Are Large. Management Science 58, 2-20.
  • Broek, C. M. van den, Kemp, R., Vries, A. de, & Verschoor W.F.C. (2012) Reputational Penalties to Firms in Antitrust Investigations, Journal of Competition Law and Economics, forthcoming
  • Dell Seta, M., Gryglewicz, S. & Kort, P.M. (2012). Optimal Investment in Learning-Curve Technologies. Journal of Economic Dynamics and Control, 36(10), 1462-1476.
  • Huisman, R., Van der Sar, N., & Zwinkels, R.C.J. (2012) A New Measurement Method of Investor Overconfidence, Economics Letters, 114, 69-71.
  • Jongen, R., Verschoor, W.F.C., Wolff, C.C.P., & Zwinkels, R.C.J. (2012) Explaining Dispersion in the Foreign Exchange Market: A Heterogeneous Agent Approach, Journal of Economic Dynamics and Control, forthcoming.
  • Markiewicz A., 2012 Model Uncertainty and Exchange Rate Volatility, International Economic Review 53.
  • Schauten, M.B.J. & D.J. van Dijk (2012), 'Corporate governance interactions and the cost of debt of large European firms', MET, 18(4), 20-29
  • Steenbeek, O.W. & M.B.J. Schauten (2012), 'Do share repurchase programs create shareholder value?', Valuation Strategies, January/February, 15(3), 14-19.
  • Baltussen,G.,Grient, B. van der, W. de Groot, E. Hennink and W. Zhou (2012) “Exploiting Option Information in the Equity Market” , Financial Analyst Journal 68(4), p. 56–72, July/August 2012.
  • Swinkels, L.A.P. & Vliet, W.N. van (2012). An anatomy of calendar effects. Journal of Asset Management, 13(4), 271-286.
  • Swinkels, L.A.P., Groot, W. & Pang, J. (2012). The cross-section of stock returns in frontier emerging markets. Journal of Empirical Finance, 19(5), 796-818.
  • Swinkels, L.A.P. & Ziesemer, V. (2012). Diversity of Dutch Pension Fund Boards. Pensions, 17(3), 137-143.
  • Swinkels, L.A.P. (2012). Emerging markets inflation-linked bonds. Financial Analysts Journal, 68(5), 38-56.
  • Andreu, L. & Swinkels, L.A.P. (2012). Performance Evaluation of Balanced Pension Plans. Quantitative Finance, 12(5), 819-830.
  • "Blitz, D., Huij, J.J. & Swinkels, L.A.P. (2012). The Performance of European Index Funds and Exchange-Traded Funds. European Financial Management, 18(4), 649-662."
  • Brown, Grundy, Lewis, and Verwijmeren (2012), Convertibles and hedge funds as distributors of equity exposure, Review of Financial Studies 25, 3077-3112
  • Grundy, Lim, and Verwijmeren (2012), Do option markets undo restrictions on short sales: Evidence from the 2008 short sale ban, Journal of Financial Economics 106, 331-348
  • Akyol, Ali, Wei Fen Lim, and Patrick Verwijmeren (2012). Shareholders in the boardroom: Wealth effects of the SEC’s rule to facilitate director nominations, Journal of Financial and Quantitative Analysis 47: 1029-1057.

2011

  • Baltussen, G., Post, G.T., Van den Assem, M.J., & Wakker, P.P., (2011) Random Incentive Systems in a Dynamic Choice Experiment, Experimental Economics, forthcoming.
  • Blitz, D., Huij, J., & Swinkels, L.A.P. (2011), On the Performance of European Index Funds and ETFs. European Financial Management, forthcoming.
  • Blitz, D., Huij, J., & Martins, M. (2011), Residual momentum, Journal of Empirical Finance 18, 506-521
  • Crezee, D.P., and Swinkels, L. (2011), Create Better Diversified High-Conviction Equity Portfolios Using the Portfolio Diversification Index, Journal of Risk, Vol. 13(2), 57-70.
  • Dittmann, I., E. Maug, and D. Zhang (2011). Restricting CEO pay, Journal of Corporate Finance 17, 1200-1220.
  • J. Duyvesteyn, M. Martens, & Safavi, S.N., (2011) Forecasting bond returns using jumps in intraday prices, Journal of Fixed Income 20, 80-90
  • Frijns, B., Lehnert, T, & Zwinkels, R.C.J. (2011). Modeling Structural Changes in the Volatility Process, Journal of Empirical Finance, forthcoming.
  • Gryglewicz, S. (2011). A Theory of Corporate Financial Decisions with Liquidity and Solvency Concerns. Journal of Financial Economics, Vol. 99(2), 365-384.
  • Jongen, R., Verschoor, W.F.C., & Wolff, C.C.P. (2011) Time-Variation in Term Premia: International Survey-Based Evidence, Journal of International Money and Finance, forthcoming.
  • Jongen, R., Muller, A. and Verschoor, W.F.C., Using Survey Data to Resolve the Exchange Risk Exposure Puzzle: Evidence from U.S. Multinational Firms, Journal of International Money and Finance, 2011, forthcoming.
  • Lecq, S.G. (Fieke) van der, & Van der Wurff, .A.W.I.M., (2011), The price of pension risks, Journal of Risk, 13(3), 83-92.
  • Mehrotra, V., Van Schaik, D., Spronk, J., & Steenbeek, O. (2011). Creditor-Focused Corporate Governance: Evidence from Mergers and Acquisitions in Japan, Journal of Financial and Quantitative Analysis, forthcoming.
  • Schauten, M.B.J., Van Dijk, D., Van der Waal, J-P (2011), Corporate governance and the value of excess cash holdings of large European firms, European Financial Management, forthcoming.
  • Soppe, A., Schauten, M.B.J., Soppe, J., Kaymak, U. (2011), "Corporate Social Responsibility Reputation (CSRR): Do Companies Comply with their Raised CSR Expectations?", Corporate Reputation Review, forthcoming.
  • Van Bekkum, S., Smit, J. T. J. & Pennings, H. P. G. (2011). Buy Smart Time Smart. Financial Management, 40 (4),911-940.
  • Volosovych, V. (2011), Financial Market Integration Over the Long Run: Is there a U-shape? Journal of International Money and Finance 30, 1535-1561

2010

  • Baltussen, G. (2010). Irrational diversification; an examination of portfolio choice. Journal of Financial and Quantitative Analysis, forthcoming.
  • Berkelaar, B., and Kouwenberg, R., (2010), A Liability-Relative Drawdown Approach to Pension Asset Liability Management, Journal of Asset Management, vol. 11, p. 194-217.
  • Blitz, D., Houweling, P., Huij, J. J., Rejeb, S. & Swinkels, L. A. P. (2010). Can theoretical risk premiums be captured by investing in passive funds? VBA Journaal, vol. 26(4), 12-15.
  • Bloys van Treslong, A. & Huisman, R., (2010), A Comment on: Storage and the Electricity Forward Premium, Energy Economics, 32 (2), 321-324.
  • Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance, 34, 834-839
  • De Jong, E., Verschoor, W.F.C., & Zwinkels, R.C.J. (2010), "Heterogeneity of Agents and Exchange Rate Dynamics: Evidence from the EMS, Journal of International Money and Finance, Vol. 29(8), 1652-1669.
  • Dimmock, S., and Kouwenberg, R., (2010), Loss-Aversion and Household Portfolio Choice, Journal of Empirical Finance, vol. 17(3), 441-459.
  • Dittmann, I., (2010). Discussion of "Are CEOs compensated for value destroying growth in earnings?", Review of Accounting Studies, 15, 578-583.
  • Dittmann, I., Maug, E. & Schneider, C., (2010). Bankers on the boards of German firms: What they do, what they are worth, and why they are (still) there, Review of Finance, 14, p.35-71.
  • Dittmann, I., Maug, E. & Spalt, O. (2010), Sticks or carrots? Optimal CEO compensation when managers are loss-averse, Journal of Finance, vol. 65 (6), 2015-2050.
  • Frijns, B., Lehnert, T. and , Zwinkels, R., (2010). Behavioral Heterogeneity in Option Prices, Journal of Economic Dynamics and Control, Vol. 34 (11), 2273 - 2287.
  • Gryglewicz, S. (2010). A theory of corporate financial decisions with liquidity and solvency concerns, Journal of Financial Economics, forthcoming.
  • Henker, H. & Martens, M.P.E. (2010). Spread decomposition with common spread components". International Journal of Managerial Finance 6, 88-115
  • Martens, M.P.E. & Budiono, D. (2010) Mutual funds selection based on fund characteristics" Journal of Financial Research, forthcoming
  • Schauten, M.B.J. (2010). Shareholder Value Misunderstood. Valuation Strategies (pp. 34-35).
  • Schauten, M.B.J., Stegink, R. & De Graaff, R. (2010). The Discount Rate for Discounted Cash Flow Valuations of Intangible Assets, Managerial Finance, 36 (9).
  • Schauten, M.B.J., Soppe, J, & Soppe, A, (2010). Maatschappelijk verantwoord ondernemen (MVO) en reputatie, de introductie van een maatstaf voor MVO-Reputatie, Maandblad voor Accountancy en Bedrijfseconomie, July/August, 395-404.
  • Smit, H.T.J., & Moraitis, T. (2010). Playing at Serial Acquistions, California Management Review, 53(1), 56-89.
  • Smit, H.T.J. & Moraitis, T. (2010). Strategic Options in Serial Acquisitions, Long Range Planning, 43, 85 – 103.
  • Smit, J.T.J. & Trigeorgis, L. (2010). Flexibility and Games in Strategic Investment. Multinational Finance Journal, forthcoming.
  • Swinkels, L.A.P., & Van Ommeren, S. (2010), Hoe waarderen we ons pensioen?, Maandblad voor Accountancy en Bedrijfseconomie, Issue 5, 245-253.
  • Verschoor, W.F.C., van den Broek, S. Kemp, R. & de Vries, A-C. (2010). Reputatieschade als handhavingsinstrument, Economisch Statistische Berichten, 19 February 2010.
  • Zwinkels, R.C.J. & Beugelsdijk, S. (2010). Gravity equations; workhorse or Trojan horse in explaining trade and FDI patterns across time and space? International Business Review, 19(1), 102-115
  • Zwinkels, R.C.J. & ter Ellen, S. (2010). Oil Price Dynamics: A Behavioral Finance Approach with Heterogeneous Agents, Energy Economics, Vol. 32 (6) 1427 - 1434.

2009

  • Berkelaar, A. & Kouwenberg, R.R.P. (2009). From boom 'til bust: how loss aversion affects asset prices. Journal of Banking and Finance, 33(6), 1005-1013.
  • Huisman, R., Mahieu, R. and Schlichter, F. (2009). Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations, Energy Economics, 31, 169-174.
  • Lewis, V., and Markiewicz, A., (2009). Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle, The B.E. Journal of Macroeconomics, 9(1), Article 13.
  • Maeseneire, W. De (2009). How do Investments Banks Value Initial Public Offerings (IPOs)? Journal of Business Finance and Accounting, 36(1&2), 130-160.
  • Markwat, T.D., De Zwart, G.J., Swinkels, L.A.P., & Van Dijk, D.J.C., (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28(4), 581-604.
  • Martens, M., Bannouh, K., and Van Dijk, D.J.C., (2009). Range-based covariance estimation using high-frequency data: The realized co-range, Journal of Financial Econometrics, 7, 341-372.
  • Martens, M., Van Dijk, D.J.C., De Pooter, M., (2009). Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements, International Journal of Forecasting, 25, 282-303.
  • Rzezniczak, P. & Swinkels, L.A.P. (2009). Performance evaluation of Polish mutual fund managers. International Journal of Emerging markets, 4(1), 26-42.
  • Schauten, M.B.J. & J. Spronk (2009), 'Optimal Capital Structure Decision in a Multi-Criteria Framework, Solutions for an M&A Case as Proposed by Practicing Financial Experts', Journal of Financial Decision Making 5(1), 73-102.
  • Smit, J.T.J. & Trigeorgis, L. (2009). Valuing Infrastructure Investment: An Option Games Approach. California Management Review, 51(2), 21-39.
  • Swinkels, L.A.P., (2009). De echte gevolgen van de ontwikkelingen in de regelgeving voor pensioenfondsen [in Dutch; The real implications of regulatory developments for pension funds] VBA Journaal, 25(4), 16-20.
  • Van Bekkum, S., Pennings, H.P.G. & Smit, J.T.J. (2009). A Real Options Perspective on R&D Portfolio Diversification. Research Policy, 38(7), 1150-1158.
  • Verschoor, W.F.C., Jong, E. de & Zwinkels, R. (2009). A heterogeneous route to the EMS crisis. Applied Economics Letters, 16, 929-932.
  • Verschoor, W.F.C., & Muller, A., (2009). The Effect of Exchange Rate Variability on U.S. Shareholder Wealth. Journal of Banking and Finance, 33, 1963-1972.
  • Verschoor, W.F.C., Zwinkels, R.C.J. & De Jong, E. (2009). Behavioral Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis. Journal of Economic Dynamics and Control, 33, 1929-1944.

2008

  • Blitz, D. & Swinkels, L.A.P. (2008). Fundamental indexation: an active value strategy in disguise. Journal of Asset Management, 9(4), 264-269.
  • Dittmann, I., Maug, E.G. & Schneider, C. (2008). How Preussag became TUI: A clinical study of institutional blockholders and restructuring in Europe. Financial Management, 37(3), 571-598.
  • Dittmann, I. & Ulbricht, N. (2008). Timing and wealth effects of German dual class stock unifications. European Financial Management, 14(1), 163-196.
  • Gryglewicz, S., Huisman, K.J.M. & Kort, P.M. (2008). Finite Project Life and Uncertainty Effects on Investments, Journal of Economic Dynamics and Control, 32, 2191-2213.
  • Henker, T. & Martens, M.P.E. (2008). Price discovery and liquidity in basket securities. The Financial Review, 43(2), 219-239.
  • Huisman, R. (2008). The influence of temperature on spike probability in day-ahead power prices, Energy economics, 30, 2697-2704.
  • Martens, M.P.E. , De Pooter, M & Van Dijk, D.J.C.,(2008). Predicting the daily covariance matrix of S&P100 stocks using intraday data - but which frequency to use?" Econometric Reviews 27, 199-229.
  • Post, G.T. (2008). On the Dual Test for SSD Efficiency: With an Application to Momentum Investment Strategies. European Journal of Operational Research, 185(3), 1564-1573.
  • Post, G.T., Van den Assem, M.J., Baltussen, G. & Thaler, R. (2008). Deal or No Deal? Decision making under risk in a large-payoff game show, American Economic Review, 98(1), 38-71.
  • Post, G.T., Vliet, W.N. van & Levy, H. (2008). Risk aversion and skewness preference. Journal of Banking and Finance, 32(7), 1178-1187.
  • Schauten, M.B.J. & Blom, J.J.A. (2008). Corporate Governance and the Cost of Debt, in: Soares, J.O., Pina, J. and M. Catalao-Lopes, New Developments in Financial Modelling, Cambridge Scholars Publishing, 116-145.
  • Schauten, M.B.J., Swieringa, J. (2008). The Choice of Payment Method in Dutch Mergers and Acquisitions, The Icfai University Journal of Mergers & Acquisitions, 5(2), 26-59.
  • Groot, W. & Swinkels, L.A.P. (2008). Incorporating uncertainty about alternative assets in strategic pension fund asset allocation. Pensions, 13, 71-77.
  • Kleimeier, S., Lehnert, H. & Verschoor, W.F.C. (2008). Measuring financial contagion using time-aligned data: The importance of the speed of transmission of shocks. Oxford Bulletin of Economics and Statistics, 70, 493-508.
  • Nijman, E. & Swinkels, L.A.P. (2008). Stratetic and tactical allocation to commodities for retirment savings schemes. In F. Fabozzi, R. Fuss & D.G. Kaiser (Eds.), Handbook of Commodity Investing (pp. 522-546). New Jersey: Wiley.
  • Verschoor, W.F.C. & Jongen, R. (2008). Further evidence on the rationality of interest rate expectations. Journal of International Financial Markets, Institutions and Money, 18, 438-448.
  • Verschoor, W.F.C. & Muller, A. (2008). The Latin-American Exchange Exposure of U.S. Multinationals. Journal of Multinational Financial Management, 2008(18), 112-130.
  • Verschoor, W.F.C., Jongen, R. & Wolff, C.C.P. (2008). Foreign Exchange Rate Expectations: Survey and Synthesis. Journal of Economic Surveys, 22(1), 140-165.
  • Verschoor, W.F.C., Straetmans, S. & C.C.P. Wolff (2008). Extreme US Stock Market Fluctuations in the Wake of 9/11, Journal of Applied Econometrics, 2008, 23, 17-42.
  • Zwinkels, R., Beugelsdijk, S., Smeets, R., (2008) The impact of horizontal and vertical FDI on host's country economic growth, International Business Review, 17(4): 452-472.

2007

  • Dittmann, I. & Maug, E.G. (2007). Lower salaries and no options? On the optimal structure of executive pay. The Journal of Finance, 62(1), 303-343.
  • H.T. Haanappel and Smit H.T.J., 2007,"Return Characteristics of Strategic Options", Annals of Operations Research. 151 (1), April 2007 pp. 57-80.
  • Huisman, R., Mahieu, R., and Huurman, C. (2007). Hourly electricity prices in day-ahead markets, Energy economics, 29, 240-248.
  • Huisman, R., and Huurman, C. (2007). Being in Balance: More Efficiency Through Liberalization, ICFAI Journal of Environmental Economics, 5 (1), 28-43.
  • Hyung, N. & Vries, C.G. de (2007). Portfolio selection with heavy tails. Journal of Empirical Finance, 14(2007), 383-400.
  • Kouwenberg, R., and Ziemba, B., (2007), Incentives and Risk Taking in Hedge Funds, Journal of Banking & Finance, vol. 31, 3291-3310.
  • Livingston, M.B., Naranjo, A. & Zhou, L. (2007). Asset Opaqueness and Split Bond Ratings. Financial Management, 36(3), 49-49.
  • Livingston, M.B. & Williams, G (2007). Drexel Burnham Lambert's Bankruptcy and the subsequent decline in underwriter fees. Journal of Financial Economics, 84(2), 472-501.
  • Martens, M.P.E., & Van Dijk, D.J.C.,(2008). Measuring volatility with the realized range" Journal of Econometrics 138, 181-207
  • Post, G.T. (2007). A Nonparametric Efficiency Estimation in Stochastic Environments II: noise-to-signal estimation, finite sample performance and hypothesis testing. Journal of Banking and Finance, 31(7), 2065-2080.
  • Post, G.T. & Versijp, P.J.P.M. (2007). Multivariate Test for Stochastic Dominance efficiency of a Given Portfolio. Journal of Financial and Quantitative Analysis, 42(02), 489-515.
  • Smit, J.T.J. & Trigeorgis, L. (2007). Strategic Options and Games in Analyzing Dynamic Technology Investments. Long Range Planning, 40(1), 84-114.
  • Smit H.T.J., and L. Trigeorgis, 2007, "Flexibility, Strategic Options and Dynamic Competition in Technology Industries", Long Range Planning 40, 84-114.
  • Swinkels, L.A.P. & Tjong-A-Tjoe, L (2007). Can mutual funds time investment styles? Journal of Asset Management, 8(2007), 123-132.
  • Trigeorgis, L., Brosch, R and Smit, H.T.J., 2007, “The Journal Report: Business Insight - Strategy: Stay Loose”, The Wall Street Journal, September 15, 2007, p. R4.

2006

  • Dittmann, I. (2006). The optimal use of fines and imprisonment if governments don't maximize welfare. Journal of Public Economic Theory, (ISSN 1097-3923), 8(4), 677-695.
  • Giorgi, U De, & Post, G.T. (2006). Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM. Journal of Financial and Quantitative Analysis, (ISSN 0022-1090), accepted.
  • Hallerbach, W.G.P.M. (2006). The information Ratio as a Performance Metric. Medium for Econometric Applications, 14(1), 8-11.
  • Cumperayot, P., Keijzer, T., & Kouwenberg, R.R.P. (2006). Linkages between extreme stock market and currency returns. Journal of International Money and Finance, (ISSN 0261-5606), 25(3), 528-550.
  • Post, G.T. (2006). A Nonparametric Efficiency Estimation in Stochastic Environments II: noise-to-signal estimation, finite sample performance and hypothesis testing. Journal of Banking and Finance, (ISSN 0378-4266), accepted.
  • Post, G.T., & Vliet, W.N. van (2006). Downside Risk and Asset Pricing. Journal of Banking and Finance, (ISSN 0378-4266), 30(3), 823-849.
  • Post, G.T., & Versijp, P.J.P.M. (2006). Multivariate test for stochastic dominance efficiency of a given portfolio. Journal of Financial and Quantitative Analysis, (ISSN 0022-1090), accepted.
  • Post, G.T. (2006). On the Dual Test for SSD Efficiency: With an Application to Momentum Investment Strategies. European Journal of Operational Research, (ISSN 0377-2217), accepted.
  • Post, G.T., Vliet, W.N. van, & Levy, J.H. (2006). Risk Aversion and Skewness Preference. Journal of Banking and Finance, (ISSN 0378-4266), accepted.
  • Pouchkarev, I., Spronk, J., & Trinidad Segovia, J.E. (2006). Empirical Insight on the Heterogeneity of the Spanish Stock Market. Estudios de Economia Aplicada, (ISSN ???037470), 24-3(2006), 1089-1106.
  • Schauten, M.B.J., & Tans, B. (2006). Cost of Capital of Government's Claims and the Present Value of Tax Shields. Financieel Forum / Bank- en financiewezen, 2006(2), 86-89.
  • Stegink, R., Schauten, M.B.J., & Graaff, G de (2006). De disconteringsvoet ten behoeve van DCF waarderingen van immateriele activa. MAB, (ISSN 0924-6304), 7/8, 372-381.
  • Smit, J.T.J., & Trigeorgis, L.T. (2006). Real options and games: Competition, alliances and other applications of valuation and strategy. Review of Financial Economics, (ISSN 1058-3300), 15(2), 95-112.
  • Smit, J.T.J., & Haanappel, H.T. (2006). Return Distributions of Stategic Growth Options. Annals of Operations Research, (ISSN 0254-5330).
  • Smit, J.T.J., & Trigeorgis, L.T. (2006). Strategic Panning: Valuing and Managing Portfolios of Real Options. R and D Management, (ISSN 0033-6807), 36(4), 403-420.
  • Kuipers, B., Sch? S., & Steenbeek, O.W. (2006). Lage inkomens en jongeren profiteren van hypotheekrenteaftrek. Economisch-Statistische Berichten, (ISSN 0013-0583), 91(4491).
  • Lecq, S.G. van der, & Steenbeek, O.W. (2006). Solidariteit in Euro's. PM. Pensioen Magazine, (ISSN 1385-4445), december(12), 14-18.
  • Swinkels, L.A.P., & Sluis, P.J. van der (2006). Return-based style analysis with time-varying exposures. The European Journal of Finance, (ISSN 1351-847X), 12(6/7), 529-552.
  • Swinkels, L.A.P. (2006). Zijn pensioenregelingen gewijzigd als gevolg van de introductie van IFRS? MAB, (ISSN 0924-6304), 562-570.
  • Swinkels, L.A.P. (2006). De opmars van beleggen in sectoren gestuit? Technische en Kwantitatieve Analyse, 12, 39-41.
  • Swinkels, L.A.P., & Vliet, W.N. van (2006). Risk budgeting under shortfall constraints. Investment & Pensions Europe, (ISSN 1369-3727), August(2006), 7.

2005

  • Assem, M.J. van den & G.T. Post (2005). Miljoenenjacht: voer voor economen. Economisch-Statistische Berichten, 90(4476), 538-539.
  • Berkelaar, A., Gromicho, J., Kouwenberg, R.R.P., & Zhang, S. (2005). A Primal-Dual Decomposition Algorithm for Stochastic Convex Programming. Mathematical Programming, 104, 153-177.
  • Hallerbach, W.G.P.M. (2005). An Alternative Decomposition of the Fisher Index. Economics Letters, 86/2, 147-152.
  • Hallerbach, W.G.P.M. (2005). Holding Period Return-Risk Modeling: The Importance of Dividends. Estudios de EconomiaAplicada, 23/1, 45-65.
  • Hallerbach, W.G.P.M., Spronk, J, Hundack, C.J.E., & Pouchkarev, I. (2005). Market Dynamics From The Portfolio Opportunity Perspective: The DAX Case. Zeitschrift fur Betriebswirtschaft, 75(7/8), 739-764.
  • Hallerbach, W.G.P.M., & Pouchkarev, I. (2005). A Relative View on Tracking Error. ERS-2005. (Int. rep. 063-F&A). ERIM.
  • Kouwenberg, R.R.P., & Mentink, A.A. (2005). Links between West, Central and East European Security Markets. In A. Batten Jonathan & Kearney Colm (Eds.), Emerging European Financial Markets: Independence and Integration Post-Enlargement. International Finance Review, volume 6 (pp. 353-381-14). Elsevier Publishers. Boekdeel.
  • Maeseneire, W. De, Smit, J.T.J., & Berg, W.A. van den (2005). De markt voor Private Equity. Finance & Control, april 2005(4), 15-17.
  • Post, G.T., & Levy, H. (2005). Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs. The Review of Financial Studies, 18(Fall 2005), 925-953.
  • Swinkels, L.A.P. (2005). Dutch insifhts for the Swedish traffic light system. Nordic Region Pension News, autumn(2005), 42-43.
  • Vries, C.G. de, Einmahl, J.H.J., Foppen, W.N., & Laseroms, O.W (2005). "VaR stress test for highly non-linear portfolios". The Journal of Risk, 6, 382-387.
  • Vries, C.G. de, & Hyung, N. (2005). Portfolio Diversification Effects of Downside Risk. Journal of Financial Econometrics, 3(1), 107-125.
  • Watkins, K., Spronk, J. , & Felix, L. (2005). Propagacie de crisis en las empresas: la experience mexicana. Economia Mexicana, XIV(1), 119-135.

2004

  • Assem, M.J. van den, Sar, N.L. van der, Logtestijn, G.J.A.M., Haanen, R.A.J., & Krol, R.E. (2004). De totstandkoming van de introductieprijs bij IPO's. Bestuurders over hun beursgang in Nederland. MAB. Maandblad voor Accountancy en Bedrijfseconomie, mei(5), 223-232.
  • Berkelaar, A., Post, G.T., & Kouwenberg, R.R.P. (2004). Optimal portfolio choice under loss aversion.Review of Economics and Statistics, 86(4), 973-987.
  • Hallerbach, W.G.P.M., & Menkveld, A.J. (2004).Analysing perceived downside risk: the component value-at-risk framework. European Financial Management, 10(4), 567-591.
  • Hallerbach, W.G.P.M., Ning, H., Soppe, A.B.M., & Spronk, J. (2004).A framework for managing a portfolio of socially responsible investments. European Journal of Operational Research, 153(2), 517-529.
  • Houweling, P., Mentink, A.A., & Vorst, A.C.F. (2004). Valuing Euro rating-triggered step-up telecom bonds. Journal of Derivatives, 11(3), 63-80.
  • Jong, F. de, Driessen, J., & Pelsser, A.A.J. (2004).On the information in the interest rate term structure and option prices. Review of Derivatives Research, 7, 99-127.
  • Kuosmanen, T., & Post, G.T. (2004). Shadow price approach to productivity measurement: a modified malmquist Index. Journal of Productivity Analysis, 22(1), 95-121.
  • Martens, M.P.E., & Zein, J. (2004). Predicting financial volatility: high-frequency time-series forecasts vis-à-vis implied volatility. Journal of Futures Markets, 24(11), 1005-1028.
  • Molyneux, P., Girardone, C., & Gardener, E.P.M. (2004). Analysing the determinants of bank efficiency - The case of Italian banks.Applied Economics, 36(3), 215-227.
  • Molyneux, P., Casu, B., & Girardone, C. (2004).Productivity in European banking - A comparison of parametric and non-parametric approaches. Journal of Banking & Finance, 28(10), 2521-2540.
  • Molyneux, P., Wilson, J.O.S., & Goddard, J. (2004). The profitability of European banks - A cross-sectional and dynamic panel analysis. Manchester School, 72(3), 363-381.
  • Pietersz, R., & Pelsser, A.A.J. (2004).Risk-managing Bermudan swaptions in a LIBOR model. Journal of Derivatives, 11(3), 51-62.
  • Post, G.T., & Levy, H. (2004). Does risk seeking drive asset prices? A stochastic dominance analysis of aggregate investor preferences. Review of Financial Studies, 18, 925-953.
  • Sar, N.L. van der (2004). Behavioral finance: How matters stand. Journal of Economic Psychology, 25(3), 425-444.
  • Smit, J.T.J. (2004). Waarde en ontwikkeling van buyouts. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 1/2, 32-41.
  • Spronk, J., & Wijst, N. van der (2005). Financial modelling and the quality of corporate reports. European Journal of Operational Research, 161(2), 295-297.
  • Vries, C.G. de, Hartmann, P., & Straetmans, S. (2004). Asset market linkages in crisis periods.Review of Economics and Statistics, 81, 313-326.

2003

  • Bergh, W.M. van den, Berg, J. van den, & Kaymak, U. (2003). Financial markets analysis by using a probabilistic fuzzy modelling approach. International Journal of Approximate Reasoning, 35, 291-305.
  • Campbell, R. and Huisman, R., (2003) Measuring Credit Spread Risk, The Journal of Portfolio Management, 29, 4, 121-127.
  • Cherchye, L., & Post, G.T. (2003). Methodological advances in DEA: A survey and an application for the Dutch electricity sector. Statistica Neerlandica, 57(4), 410-438.
  • Gondzio, J., Kouwenberg, R.R.P., & Vorst, A.C.F. (2003). Hedging options under transaction costs and stochastic volatility.Journal of Economic Dynamics & Control, 27(6), 1045-1068.
  • Hallerbach, W.G.P.M. (2003). Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration. Applied Financial Economics, 4(13), 287-294.
  • Huisman, R., and Mahieu, R., (2003) Regime jumps in electricity prices, Energy economics, 25, 425-434.
  • Huisman, R., and De Jong, C. (2003) Option Pricing for Power Prices with Spikes, Energy + Power Risk Management, February, 12-16.
  • Kouwenberg, R.R.P., (2003), Do Hedge Funds Add Value to a Passive Portfolio: Correcting for Non-Normal Returns and Disappearing Funds, Journal of Asset Management, vol. 3/4, 361-382.
  • Kouwenberg, R.R.P., & Berkelaar, A. (2003). Retirement saving with contribution payments and labor income as a benchmark for investments. Journal of Economic Dynamics & Control, 27(6), 1069-1097.
  • Kuosmanen, T., & Post, G.T. (2003). Note on: Measuring economic efficiency with incomplete price information. European Journal of Operational Research, 144(2), 454-457.
  • Merkoulova, J.W., & Roon, F.A. de (2003).Hedging long-term commodity risk. Journal of Futures Markets, 23(2), 109-133.
  • Merkoulova, J.W. (2003). Price limits in futures markets: effects on the price discovery process and volatility. International Review of Financial Analysis, 12(3), 311-328.
  • Molyneux, P., & Casu, B. (2003).A comparative study of efficiency in European banking. Applied Economics, 35(17), 1865-1876.
  • Post, G.T., Cherchye, L., & Kuosmanen, T. (2003). Nonparametric effiency estimation in stochastic environments. Operations Research, 50(4), 645-655.
  • Post, G.T. (2003). Empirical tests for stochastic dominance efficiency. Journal of Finance, 58(5), 1905-1931.
  • Sar, N.L. van der (2003). Calendar effects on the Amsterdam stock exchange.De Economist, 151(3), 271-292.
  • Schauten, M.B.J., & Blom, J.J.A. (2003). De kwaliteit van corporate governance en de kosten van vreemd vermogen. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 11, 530-538.
  • Smit, J.T.J. (2003). Infrastructure investment as a real options game: the case of European airport expansion. Financial Management, 32(4), 27-57.
  • Spronk, J., & Vermeulen, E.M. (2003). Comparative performance evaluation under uncertainty.European Journal of Operational Research, 150(3), 482-495.

2002

  • Altunbas, Y., Otabek, F., & Molyneux, P. (2002). Evidence on the bank lending channel in Europe.Journal of Banking & Finance, 26(11), 2093-2110.
  • Cherchye, L., Kuosmanen, T., & Post, G.T. (2002). Non-parametric production analysis in non-competitive environments. International Journal of Production Economics, 80(3), 279-294.
  • Kouwenberg, R.R.P., Berkelaar, A., & Cumperayot, P. (2002). The effect of VaR based risk management on asset prices and the volatility smile. European Financial Management, 8, 139-164.
  • Kuosmanen, T., & Post, G.T. (2002).Quadratic data envelopment analysis. Journal of the Operational Research Society, 53(11), 1204-1214.
  • Martens, M.P.E., Chang, Y.C., & Taylor, S.J. (2002). A comparison of seasonal adjustment methods when forecasting intraday volatility. Journal of Financial Research, 25(2), 283-299.
  • Martens, M.P.E. (2002). Measuring and forecasting S&P 500 index-futures volatility using high-frequency data. Journal of Futures Markets, 22, 497-518.
  • Molyneux, P., & Ibanez, P. (2002).Financial restructuring in European banking and foreign expansion. Latin American Research Review, 3(4), 19-57.
  • Pelsser, A.A.J., & Kerkhof, J.C.M.T. (2002).Observational equivalence of discrete string models and market models. Journal of Derivatives, 10(1), 55-61.
  • Post, G.T., & Kuosmanen, T. (2002). Nonparametric efficiency analysis under price uncertainty: a first-order stochastic dominance approach. Journal of Productivity Analysis, 17(3), 183-200.
  • Post, G.T., & Kuosmanen, T. (2002). Shadow price approach to total factor productivity measurement: with an application to Finnish Grass-Silage production. Journal of Productivity Analysis, 22(1), 95-121.
  • Post, G.T., Cherchye, L., & Kuosmanen, T. (2002). Nonparametric production analysis in non-competitive environments. International Journal of Production Economics, 80(3), 279-294.

2001

  • Campbell, R., Huisman, R., and Koedijk, C.G., (2001) Optimal Portfolio Selection in a Value at Risk Framework, Journal of Banking and Finance, 25, 1789–1804.
  • Cherchye, L., Kuosmanen, T., & Post, G.T. (2000). Alternative treatments of Congestion in DEA.European Journal of Operational Research, 132(1), 75-80.
  • Cherchye, L., Kuosmanen, T., & Post, G.T. (2001). FDH Directional distance functions with an application to European Commercial banks. Journal of Productivity Analysis, 15, 201-215.
  • Dekker, D.J., & Post, G.T. (2001). A quasi-convace DEA model with an application for bank branch performance evaluation.European Journal of Operational Research, 132(2), 54-68.
  • Houweling, P., Hoek, J., & Kleibergen, F.R. (2001). The joint estimation of term structures and credit spreads. Journal of Empirical Finance, 8, 297-323.
  • Huisman, R., Koedijk, C.G., Kool, C., and Palm, F., (2001) Tail Index Estimation in Small Samples, Journal of Business and Economic Statistics, 19, 208-216.
  • Huisman, R., and Mahieu, R., (2001) Regime Jumps in Power Prices, Energy + Power Risk Management, September, 32-35.
  • Kouwenberg, R.R.P., & Gondzio, J. (2001).High performance computing for asset liability management. Operations Research, 49, 879-891.
  • Kouwenberg, R.R.P. (2001). Scenario generation and stochastic programming models for asset liability management. European Journal of Operational Research, 134(2), 279-292.
  • Kuosmanen, T., & Post, G.T. (2001). Measuring economic efficiency with incomplete price information: with special application to European commercial banks. European Journal of Operational Research, 134(1), 44-58.
  • Martens, M.P.E., & Poon, S-H.(2001). Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking & Finance, 25, 1805-1827.
  • Martens, M.P.E. (2001).Forecasting daily exchange rate volatility using intraday returns. Journal of International Money and Finance, 20, 1-23.
  • Molyneux, P., Altunbas, Y., & Gardener, E.P.M. (2001). Efficiency in European Banking.European Economic Review, 45(10), 1931-1955.
  • Molyneux, P., Evans, L., & Altunbas, Y. (2001).Bank ownership and efficiency. Journal of Money, Credit, & Banking, 33(4), 926-954.
  • Post, G.T. (2001). Estimating non-convex production sets using transconcave DEA. European Journal of Operational Research, 131(1), 132-142.
  • Post, G.T. (2001).Performance evaluation in stochastic environment using mean-variance data envelopment analysis. Operations Research, 49(2), 281-292.
  • Post, G.T. (2001).Transconcave data envelopment analysis. European Journal of Operational Research, 132(2), 131-146.
  • Spronk, J., & Wijst, N. van der (Eds.). (2001). European Journal of Operational Research, 134(2).
  • Spronk, J., & Wijst, N. van der (2001). Financial modelling in the new millennium.European Journal of Operational Research, 134(2), 229-231.
  • Steenbeek, O.W., & Grimmelt, B. (2001). Venture capital deal structurering in Nederland. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 75(7/8), 321-335.
  • Vliet, W.N. van, & Broekman, P. (2001). Winstbelasting en kapitaalstromen in de EU. OpenbareUitgaven, 33(2), 46-53.

2000

  • Menkveld, A.J., & Vorst, A.C.F. (2000). A pricing model for American options with Gaussian interest rates. Annals of Operations Research, 100, 211-226.
  • Mercurio, F., & Moraleda, J. (2000).An analytically tractable interest rate model with humped volatility. European Journal of Operational Research, 120(1), 205-214.
  • Molyneux, P., Altunbas, Y., Seth, R., & Liu, H.C. (2000). Efficiency and risk in Japanese banking. Journal of Banking & Finance, 24(10), 1605-1628.
  • Oldenkamp, K.P.B., & Dert, C.L. (2000). Optimal guaranteed return portfolios and the casino effect. Operations Research, 48(5), 1-10.
  • Pelsser, A.A.J., & Moraleda, J. (2000).Forward versus spot interest-rate models of the term structure: an empirical comparison. Journal of Derivatives, 7(3), 9-21.
  • Post, G.T., Cherchye, L., & Kuosmanen, T. (2000). What is the economic meaning of FDH?. Journal of Productivity Analysis, 13(3), 259-263.
  • Sar, N.L. van der, & Dröge, T. (2000). Seizoensanomalieën wereldwijd. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 73, 179-191.
  • Schauten, M.B.J., Steenbeek, O.W., & Ewalds, S.G. (2000). De informatieve waarde van kwartaalcijfers. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 7(8), 333-341.
  • Steenbeek, O.W., & Martens, M.P.E. (2000). Handelssystemen en concurrentie tussen effectenbeurzen. Bank- en Effectenbedrijf, november, 24-28.
  • Steenbeek, O.W., & Vliet, M.A. van (2000). Waarde en prijs van Nederlandse beursgenoteerde ondernemingen. MAB. Maandblad voor Accountancy en Bedrijfseconomie, 74(11), 509-518.
  • Steenbeek, O.W. (2000). Asia pacific financial deregulation [Review of G. de Brouwer & W. Pupphavesa, Asia pacific financial deregulation]. Economic Journal, October.
  • Vorst, A.C.F., Donders, M.W.M., & Kouwenberg, R.R.P. (2000). Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity. European Financial Management, 6(2), 149-171.

1999

  • Flood, M.D., Huisman, R., Koedijk, C.G., and Mahieu, R., (1999). Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets, Review of Financial Studies, 12, 37-59.
  • Hallerbach, W.G.P.M., & Grootveld, H. (1999). Variance versus downside risk: is there really that much difference?.European Journal of Operational Research, 114(2), 304-319.
  • Huisman, R., Koedijk, C.G., and Pownall, R., (1999). Dealing with Market Extremes, Derivatives Week, June 28.
  • Huisman, R., and Schweitzer, M., (1999). Dutch Corporate Bonds in a Mixed Asset Portfolio, VBA Journaal.
  • Molyneux, P., Altunbas, Y., & Goddard, J. (1999). Technical change in banking. Economics Letters, 64, 215-221.
  • Spronk, J. (Ed.). (1999). European Journal of Operational Research, 114(2).
  • Spronk, J., Post, G.T., & Post, G.T. (1999). Performance benchmarking using interactive data envelopment analysis. European Journal of Operational Research, 115, 472-487.
  • Spronk, J. (1999). Financial modelling as a bridging feature. European Journal of Operational Research, 114, 217-218

Books/Monographs

  • Verschoor, W.F.C., Kleimeier, S. & Lehnert, T. (2010) Contagion or Interdependence: Does the Speed of the Transmission of Shocks Matter? in: R.W. Kolb (ed.), Financial Contagion: The Viral Threat to the Wealth of Nations, forthcoming, John Wiley & Sons, New York,
  • Schauten, M.B.J. & Spronk, J. (2010). Optimal Capital Structure. In Zopounidis, C. & Pardalos, P.M. (Eds.), Handbook of Multicriteria Analysis. Springer, Heidelberg, 405-424.
  • Swinkels, L.A.P., & W. de Groot, (2010). Pension Fund Asset Allocation under Uncertainty, in: Pension Fund Risk Management: Financial and Actuarial Modeling (edited by Gregoriou, Masala, and Miccoci).
  • Huisman, R., (2009). An Introduction to Models for the Energy Market: The Thinking behind Econometric Techniques and Their Application, RISKbooks, ISBN 978-1906348229.
  • Huisman, R., (2009). “Energy Trading, Emission Certificates and Risk Management”, in: A. Bausch and B. Schwenker, Handbook Utility Management, Springer Verlag, ISBN 9783540793489, 349-360.
  • Lecq, S.G. van der, (2009). 'Enforcing Competition in the Dutch Banking Sector', in: C. Baudenbacher (ed.), 2009, Current Developments in European and International Competition Law, International Competition Law Forum, volume 10, Basel: Helbing Lichtenhahn, pp. 293-302.
  • S.G. van der Lecq & O.W. Steenbeek, (2008). Pensioenwoordenboek / Pension Dictionary, 2nd revised edition, Deventer: Kluwer.
  • Maeseneire, W. De, Manigart, S., Wright, M., Pruthi, S., Lockett, A., Bruining, H., Hommel, U. & Landstrom, H. (2007). How international are European Venture Capital Firms? In L. Dana & M. Han (Eds.), A theory of Internationalisation for European Entrepreneurship (pp. 201-224). Cheltenham United Kingdom: Edward Elgar.
  • Lecq, S.G. van der & Steenbeek, O.W. (2007). Costs and Benefits of Collective Pension Systems. Heidelberg: Springer Verlag.
  • Kam, C.A. de, Lecq, S.G. van der, Sleijpen, O.C.H.M. & Steenbeek, O.W. (2007). Sociale zekerheid: de AOW ziet Abraham. In Jaarboek Overheidsfinancien 2007 (Jaarboeken Overheidsfinancien) (pp. 63-85). Den Haag: SDU.
  • Huisman, R., Koedijk K., and Pownall, R., (2007) “VaR-X: Fat Tails in Financial Risk Management”, In: J. Danielsson (editor), 2007, The Value-at-Risk Reference: Key Issues in the Implementation of Market Risk, Riskbooks.
  • Lecq, S.G. van der, & Steenbeek, O.W. (2006). Kosten en Baten van Collectieve Pensioenregelingen. Deventer: Kluwer (ISBN 90-13-3755-0).
  • Maeseneire, W. de (2006). The Real Options Approach to Strategic Capital Budgeting and Company Valuation (Financial Cahiers Financiers). Gent: Larcier (ISBN 2-8044-2318-2).
  • Kouwenberg, R.R.P., & Zenios, S.A. (2006). Stochastic Programming Models. In S.A. Zenios & W.T. Ziemba (Eds.), Handbook of Asset and Liability Management, Volume 1 (pp. 253-303). Amsterdam: Elsevier (ISBN 0-44-50875-9).
  • Kouwenberg, R.R.P., & Mentink, A.A. (2006). The Links Between Central, East European and Western Security Markets. In J.A. Batten & C. Kearney (Eds.), Emerging European Financial Markets: Independence and Integration Post-Enlargement (pp. 353-381). Amsterdam: Elsevier (ISBN 0-7623- 1264-5).
  • Steenbeek, O.W. (2006). Wet- en regelgeving. In C Dr Petersen (Ed.), Risicomanagement door Pensioenfondsen (pp. 25-44-2). Epse: Petersen Consult BV (ISBN 90-809537-9-2).
  • Levy, H. and Th. Post, Investments, 2005, ISBN 0 273 65164 1, Prentice Hall, pp. 914.
  • Han T.J. Smit en Lenos Trigeorgis, Strategic investment: real options and games, 2004, ISBN 0 691 01039 0, Princeton University Press, pp. 472.
  • Van der Lecq, S.G. (Fieke),2003, Calculated Choices: Who Profits?, Chapter 7 in: Johan J. Graafland en Arie P. Ros (eds.), 2003, Economic Assessment of Election Programmes, Kluwer Academic Publishers, Boston, pp. 83-95.
  • N.L. van der Sar, Aandelenrendementen: ratio en psychologie, 2002, ISBN 90 200 2522 8, Kluwer Deventer, pp. 151.
  • Eichholtz, P., and Huisman, R., (2001). “The Cross-Section of Global Property Shares Returns”, in: S. Brown and C. Liu, A Global Perspective on Real Estate Cycles (The New York University Salomon Center Series on Financial Markets and Institutions), 89–102.
  • Van der Lecq, S.G. (Fieke), (2000). Money, Coordination and Prices, Cheltenham: Edward Elgar.